eBook - PDF

Analytical Finance: Volume II

Name: Analytical Finance: Volume II
ISBN: 9783319525846

The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

Jan R. M. Röman,

English
PDF
Available on iOS & Android

eBook - PDF

Analytical Finance: Volume II

The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

Jan R. M. Röman,

About this book

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author's many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application.

Coverage includes:

• Date arithmetic's, quote types of interest rate instruments • The interbank market and reference rates, including negative rates • Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others • Bootstrapping and how to create interest rate curves from prices of traded instruments • Risk measures of IR instruments • Option Adjusted Spread and embedded options • The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR • Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension • The Heath-Jarrow-Morton framework • Forward measures and general option pricing models • Black log-normal and, normal model for derivatives, market models and managing exotics instruments • Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

Frequently asked questions

Yes, you can cancel anytime from the Subscription tab in your account settings on the Perlego website. Your subscription will stay active until the end of your current billing period. Learn how to cancel your subscription.

No, books cannot be downloaded as external files, such as PDFs, for use outside of Perlego. However, you can download books within the Perlego app for offline reading on mobile or tablet. Learn more here.

Perlego offers two plans: Essential and Complete

Essential is ideal for learners and professionals who enjoy exploring a wide range of subjects. Access the Essential Library with 800,000+ trusted titles and best-sellers across business, personal growth, and the humanities. Includes unlimited reading time and Standard Read Aloud voice.
Complete: Perfect for advanced learners and researchers needing full, unrestricted access. Unlock 1.4M+ books across hundreds of subjects, including academic and specialized titles. The Complete Plan also includes advanced features like Premium Read Aloud and Research Assistant.

Both plans are available with monthly, semester, or annual billing cycles.

We are an online textbook subscription service, where you can get access to an entire online library for less than the price of a single book per month. With over 1 million books across 1000+ topics, we’ve got you covered! Learn more here.

Look out for the read-aloud symbol on your next book to see if you can listen to it. The read-aloud tool reads text aloud for you, highlighting the text as it is being read. You can pause it, speed it up and slow it down. Learn more here.

Yes! You can use the Perlego app on both iOS or Android devices to read anytime, anywhere — even offline. Perfect for commutes or when you’re on the go.
Please note we cannot support devices running on iOS 13 and Android 7 or earlier. Learn more about using the app.

Yes, you can access Analytical Finance: Volume II by Jan R. M. Röman in PDF and/or ePUB format, as well as other popular books in Business & Financial Engineering. We have over one million books available in our catalogue for you to explore.